Agree with above. Managed Futures were well positioned (mostly in Fixed Income an commodities). Lost some of the gains again though because the rebound was strong.

Rather 2014 this one, but I though it was worth the read; Trend Following with Managed Futures: The Search for Crisis Alpha

Anyone familliar with intraday momentum? There's a heavily downloaded paper on it on SSRN; see Intraday Momentum: The First Half-Hour Return Predicts the Last Half-Hour Return. I haven't found anything else on the web, except for a small description of the paper here (external link) . What's your ta...

<t>QuoteOriginally posted by: Traden4AlphaWouldn't a wide spread belief that no crash will occur be a prerequisite for a crash? And if enough people (especially those controlling the money faucet) believe a crash will happen, then the steps they take will mitigate it.Risk is highest when people thin...

You could be considering a very short frequency level: half a day, 1 hour, 15 minutes. Returns at high frequency levels are non-normal andnegatively correlated due to the bid ask bounce.

Seems there's some hope that Greece and de EU will find a negotiated solution. Shiller's comment that we ought to buy Greece (and Russia) seems well timed.

Ok, what holding period? Intrady trading or longer holding periods?

True, it's mostly about reputation.

Yes the most suitable VaR is Monte Carlo or historical value at risk. The var-covar approach is not suited since bonds behave nonlinear with respect to interest rates. You could of course linear this, base don the duration and still use the var-covar VaR

Floating rate bonds, are repriced periodically. This means that interest rate risk, which can be expressed as duration, is small.

Yes, those 2 ways are acceptable to price those floaters as shown in the provided floating rate bond excel file. As I'm aware, practitioners mostly use the first method you've mentioned.

The Swiss franc is a safe haven, so when uncertainty rises, investors buy CHF. Now, again uncertainty raised, so CHF appreciated. Those who held CHF now have a huge profit.

They're most likely anticipating huge demands for CHF (safe haven currency) in the near future, since they the central bankcan't defend and hold the ceiling if excess demand occurs.

Have a look at time series momentumhttp://openarchive.cbs.dk/bitstream/handle/10398/8862/time_series_momentum_lasse_heje.pdf?sequence=1Just in case; make sure you splice your futures contracts in an appropriate way, to avoid roll yield from distorting your return series.

<t>I've been reading around and noticed that emotions often affect traders and decreases their performance. For example, by keeping losing stocks to long and selling winners to early as imposed by disposition effect.I was wondering if stop-loss order and take-profit orders really improve your overal...